第八讲国际会计准则与GAAP下的准备金

1、IFRS4与GAAP下的准备金内容 IFRS的产生背景 IFRS第一阶段的成果 IFRS第二阶段的进展 IAA对IFRS的建议保险会计准则的分类 监管会计准则 通用会计准则 税收会计准则监管会计准则 监管会计（Statutory Accounting）主要服务于保险监管部门，主要为保证保单持有人利益而监管保险公司偿付能力的需要。 监管会计是具有明显强制性的法规，所有在法律规定监管范围内的保险企业均须遵循。 制订机构是监管机关通用会计准则 通用会计准则(GAAP)是为公司设计的，其报表供一般公众、股东、金融机构、投资银行、信贷发行机构及其他关注公司财务状况和经营成果的单位使用。 通用会计准则能够

2、被普遍接受，是有权威支持的。会计方法得到职业团体或证券交易委员会等权威机构的认可；会计方法也得到大批著名会计教授和专家的书面支持。 制订机构:在美国、英国等职业团体较为成熟的国家，公认会计准由职业团体下属的会计准则委员会制订。证券委员会也会制订准则对信息披露提出要求。我国由财政部制订。通用会计准则的作用 提供一系列标准力图以合理的精确度计量公司所持资产、所欠负债、赚取的收入以及发生的费用。 确保各公司历年的财务数据之间以及与其他公司的类似信息之间具有可比性。 税收会计准则 阅读对象：税务机构 报告目的：合理估计利润，以计算应税收入 评估准则：谨慎或适度谨慎由税收政策决定GAAP与与SAP的比较

3、的比较 （一）服务对象不同（一）服务对象不同 （二）编制目的不同（二）编制目的不同GAAP在于报告强调获利能力，为兼顾不同会计信息使用者各方面的要求，它只能在资产负债表、利润表、现金流量表之间取得一个平衡，任何一张报表都不能偏废。SAP报告财务状况，主要关注偿付能力，侧重于资产负债表和现金流量分析。GAAP与与SAP的比较的比较 （三）风险态度、会计假设不同（三）风险态度、会计假设不同 GAAP持不偏不倚的风险态度，采用持续经营假设；SAP在十分谨慎的风险态度下，排除持续经营理念，虚拟停业清算，采用准清算假设。 持续经营是指会计主体的经营活动将按照现在的形式和既定的目标无限期的继续下去，在可预

4、见的未来内不会清算。准清算是假设保险公司现在就能够以其现有资产偿付现在及未来的债务，它对资产的定价侧重于现在的变现能力，对准备金的提取更为保守和稳健。通用会计准则 国际会计准则(IASB颁布) USGAAP 保险会计准则 - 原保险合同（中国财政部颁布）GAAP下的责任准备金下的责任准备金 GAAP准备金 = 评估假设下的毛保费准备金+推迟释放的利润 推迟利润的释放 保费中附加的风险边际既是需要提供给股东的利润，也是抵御风险的屏障。期交保费的险种，风险与保费成正比。趸交保费的险种，用保额作为风险的度量。利润的释放速度与风险的降低速度相等。GAAP准备金评估假设中允许加入不利偏差，以保留更多的利

5、润应对风险，将更多的利润推迟到后期释放。 GAAP对假设的锁定 GAAP准备金在保单签发时即已确定，且在以后的年份中不再修改。除非经验恶化，经充足度测试后发现需要核销DAC或补提准备金。核销的方法是将未来的损失现值抵扣DAC直至为零。IFRS的产生背景 公司业务的加速全球化和资本市场的国际化要求财务报告标准的统一。 会计丑闻（如美国安然和世界通信公司）对会计标准施加了压力，迫使会计准则必须能够更加真实地反映经营状况 IFRS由国际会计准则管理委员会（IASB）制订，以提高各地区和各公司之间的透明度和可比较性国际会计准则委员会 1973年，作为一个私营机构创立（IASC），给发展中国家提供技术支

6、持；IASC发展成为美国FASB的抗衡，结构与FASB类似； 2001年，经过机构重组，成立IASB； IFRS的实施进程 欧盟：2005年起所有的欧盟上市公司依据IFRS编制合并财务报表。同时在欧盟市场和其他国际交易的公司，要求从2007年起采用IFRS 加拿大与澳大利亚承诺遵守IFRS 美国的财务会计准则管理委员会与IASB签定协议协调统一美国GAAP与IFRS国际会计准则-保险会计 IASC在1998年制订了涉及金融工具的IAS39和IAS32，其中不包括保险合同（IAS39：金融工具：认可与计算；IAS32 ：金融工具：披露与陈述） 保险会计的特殊性和复杂性，使IASB意识到必须建立一

7、些专门的会计准则。保险会计项目与1997年启动，目标是建立一套资产和负债都以公允价值为基础的会计标准，包括两个需要解决的问题：一是将利润计量由目前的匹配观转为资产负债观，二是统一准备金的谨慎度。 国际会计准则-保险会计 2002年IASB决定将这一项目分为两个阶段进行 阶段一的任务是：定义保险合同；信息披露；充足性测试。 阶段二的任务是：负债及其他要素的计量。国际会计准则-保险会计 2004年三月出版IFRS4-保险合同 IAS39和IAS32将会适用于保险公司持有或发行的金融工具中， 三份标准一起构成了第一阶段的成果。 2005年IFRS4的补充标准-金融产品中的保证条款颁布。IFRS4 保

8、险合同的定义：合同必须涉及到一定的风险才算一份保险合同，没有达到这一标准的将作为IAS39和IAS32中的金融工具处理 要求公司做保险负债的充足性测试， 不允许为平滑损失的目的建立平衡准备金和巨灾准备金。 用未来现金流的折现值评估准备金 初始费用不能递延第二阶段的进展及IAA的建议新会计准则的实施进程 讨论稿征询意见 2007年11月16日 发布征求意见稿 2008年11月 发布准则草案 2009年11月 准则生效日期 2011年Preliminary Views on Insurance Contracts 假设保险公司在评估日即刻将其剩余的合同权利和义务转移给另一个实体，转移过程中该保险公

9、司所期望支付的价钱就是在该评估日保险合同负债的值。IASB称这一评估方法为“当期退出价值”（current exit value）. 当前退出价值一般无法通过观测获得，只能用当前的、无偏的、与市场一致假设对未来的负债现金流求期望现值。 负债价值要反映出风险和提供服务的价值，反映市场参与者接受负债所要求的补偿。风险和服务的价值将以保单组为基础进行评估，同一个保单组内的保单相似风险并且统一管理。IAA 报告 在国际保险监管官协会（IAIS）下属的偿付能力委员会和保险合同会计准则委员会的要求下，国际精算师协会（ IAA）成立了风险边际研究组（RMWG，Risk Margin Work Group），

10、专门研究保险合同负债评估的问题，以便与IASB对保险合同的相关研究保持一致。 RMWG于2009年4月15日正式发布了保险合同负债的计量：最优估计和风险边际（Measurement of Liabilities of Insurance Contracts:Best Estinates and Risk Margins）。 IAA 报告 负债的最优估计和风险边际一起构成了负债的“当前退出价值”。 进行最优估计之前，必须确认所有与合同权利和义务相关的未来现金流。 进行最优估计的评估假设必须是当前的、无偏的而且是与市场保持一致的。 IAA 报告 为达到以上要求的评估假设，必须收集到非常可靠和相关的

11、信息，即历史经验信息等。信息包括市场的和非市场的信息。非市场信息包括基于保单组的信息、基于公司整体的信息、基于行业的信息。不同的评估假设对市场和非市场信息的倚重不一样。比如，贴现率的信息来自市场的最可靠，但死亡率的信息则是来自保单组本身的最可靠，但保单组信息往往不够充分，所以需要使用行业信息或者公司信息加以调整 IAA 报告 风险边际的计算方法有多种，它把风险边际计算方法分为四类：分位数法、资本成本法、明确假设法、贴现的风险边际计算法（discount-related risk margin） 最优估计的现金流 最优估计值是以未来法计算出的评估日后所有负债现金流的期望现值，要尽可能全面地考虑到

12、未来的责任和风险，应当包括所有由合同的权利和义务所引起的对公司财务有影响的现金流最优估计的假设 （一）死亡率一）死亡率 死亡率假设分为两个部分：（1）死亡率水平；（2）死亡率变化趋势。 （二）保单持有人行为及退保率二）保单持有人行为及退保率 （三）（三） 费用率费用率 对长期合同的费用做出假设时，常常假定公司会将新业务维持在一个合理水平。（四）贴现率（四）贴现率 贴现率反映货币的时间价值。Discount rates Discount rates can depend on whether a contracts obligations are either (1) directly link

13、ed to the investment return of a designated portfolio of assets or contract-specified asset portfolio or (2) not directly linked to such performance. Unlinked discount rates Composition of interest rates Risk free rate, which really is not risk free, but at least excludes most credit risk. In the ca

14、se of an insurer that expects to earn interest at a rate greater than the risk-free rate (most insurers believe that the market prices effective interest at a conservative rate), a loss at issue of an insurance contract with a heavy savings component may result if discount rates used are at a risk-f

15、ree level. This may be overcome if the discount rate chosen is greater than the risk-free rate, possibly including a liquidity premium or other adjustmentRisk free rate Real interest rate. Inflation expectation or time preference for the duration of the cash flow. Sovereign provision (the credit ris

16、k of the national governments securities) Less other elements. extreme market aversion to risk, a desire to indicate to others the safety of the securities, and the cost of safe keepingRisk-free discount rates Government bond rates Government bond rates plus an adjustment Corporate bond rates minus

17、an adjustment Swap rates minus adjustment Swap rates liquidity premium it refers to the extent to which a liability or an asset can be converted to cash or a cash equivalent as desired, without a substantial price discount at a given point in time. As a result, neither literature nor practice has ye

18、t developed to derive a universally accepted application of this concept to liabilities Study on liquid premium A significant body of literature exists that attempts to demonstrate the estimation of liquidity premiums in corporate bond spreads. Most of these studies focus on the U.S. bond market, al

19、though an increasing number have been made on the basis of credit default swap (CDS). Limited research has been conducted regarding the effect of liquidity on prices of liabilities, although the concept of studying bid-asked prices may be useful to consider Study on liquid premium October ：the Danis

20、h Ministry of Economic and Business Affairs, with the agreement of the Danish Insurance Association, allow for a temporary period discount rates for pensions for maturities of more than seven years would reflect a liquidity premium of fifty percent of the difference between the weighted, option-adju

21、sted credit spread on bonds in Nykredits mortgage bond index (covered bonds) and the ten year Danish swap rate. Linked (and related) obligations The measurement of the obligation should be consistent with the measurement of the corresponding assets. To the extent that linked assets replicate the obl

22、igation (or a fixed proportion of it) entirely, its liability would equal the reported value of the linked assets. Risk Margin The risk margin for policyholder protection as an element of prudence The risk margin as a provision for the cost or price for bearing risk The risk margin as a provision fo

23、r the price for bearing risk exit value approach The risk margin as a provision for the cost of bearing risk Desirable risk margin characteristics The less that is known about the current estimate and its trend; the higher the risk margins should be Risks with low frequency and high severity will ha

24、ve higher risk margins than risks with high frequency and low severity For similar risks, contracts that persist over a longer timeframe will have higher risk margins than those of shorter duration41 Risks with a wide probability distribution will have higher risk margins than those risks with a nar

25、rower distribution To the extent that emerging experience reduces uncertainty, risk margins will decrease, and vice versa. Risk margin quantile methods, including a. percentile or confidence levels (VaR); b. related methods, specifically, conditional tail expectation (CTE, also called tail value at

26、risk or TVaR); and c. multiples of the second and higher moments of the risk distribution; cost of capital methods; discount related methods; explicit assumptions; conservative assumptions in the current estimate producing implicit risk margins Quantile approaches The use of confidence levels is the

27、 most common quantile method. Conditional Tail Expectation is a modified approach, Cost of capital method It reflects the concept of a risk margin as cost of bearing risk. The cost of capital refers to the amount of return, before income tax, in addition to the amount earned by the insurer from its

28、investment of capital that is required for the total return on the insurance enterprise to be sufficient after payment of income tax In this method, capital should be determined on an economically sound basis (i.e., sufficiently risk sensitive)Cost of capital method SST formula the capital cash flow

29、 calculation Discount-related risk margins A risk adjusted discount method discounts expected cash flows using risk-free interest rates minus a selected risk adjustment. The risk adjustment might vary by line of business, age of runoff or some other factor that affects the risk distribution Explicit

30、 assumptions An explicit margin within a specified range. Accounting or actuarial guidance specifies the ends of the range (perhaps, as a percentage of the central estimate) and indicates criteria for deciding whether the margin should be set nearer one end of the range. An approach of this type is

31、in use in Canada.Pooling and diversification Pooling of similar risks in portfolios or diversification by combining portfolios that are sufficiently uncorrelated reduces risk and, therefore, should result in a lower coefficient of variation and skewness of the risk distribution. Therefore, using the

32、 methods described in the previous section, the indicated risk margin is reduced by allowance for pooling and diversification. The extent that pooling and diversification are reflected in international financial reporting systems has not been determined at the time this paper was writtenReference po

33、rtfolio/entity concept The IAIS has proposed that similar obligations with similar risk profiles should result in similar liabilities One way to achieve the IAIS objective would be to determine the reporting entity risk margin by considering how the risk margin in the reporting entity portfolio woul

34、d be valued by a potential standardized entity, notionally representing a transferor Further research and discussion of the practical application of this approach is encouraged risks to be considered For the current discussion of risk margins, risks reflected in the risk distribution are all the non

35、-hedgeable risks associated with the runoff of claims/contract obligations, including the risk of variability in the amount of settlement obligations, reinsurance credit risk66, and operational risk (for further discussion, see Section 8.4), but not including market or credit risk for assets, as far

36、 as those are hedgeable. Time horizon and risk perception The time horizon for the risk margin relates to the full runoff of contract obligations and hence is based on the variability, estimated at the reporting date, between estimates of the value of the obligation at the reporting date and the act

37、ual value when the obligation is settled (Runoff test). The time horizon is a specific time period (e.g., one year) and the amount of capital is calculated by estimating the change in capital (market value of assets minus market value of liabilities) with a specific percentage of probability (e.g.,

38、99.5% as in the European Solvency II project) of assets being sufficient to cover the liabilities needed one year from the reporting date (Change in Capital Test). IFRSMCEVsolvency II In Europe , the proposed approaches to valuing liabilities under solvency II , IFRS4 phase 2 and MCEV become aligned. All are Economic , market based valuation approaches Based on CE plus margin IFRSMCEVsolvency IIAssetSolvency IIIFRS 4MCEVCECECERMRMRMSCRService marginVIFStatutory reserveExcess capitalIFRS equityAdjusted net asse